EVALUATING ASSET PRICING MODELS WITH LIMITED COMMITMENT USING HOUSEHOLD CONSUMPTION DATA

Evaluating the consumption-capital asset

Evaluating the consumption-capital asset pricing model using Hansen–Jagannathan bounds: evidence from the UK

✍ Tom Engsted 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 219 KB

The consumption based capital asset pricing model is evaluated using bounds and 68 years of annual UK data. In contrast to the standard statistical methodology, the Hansen -Jagannathan methodology is fully non-parametric and based on only one principle from economic theory, namely the Law of One Pr